Given the limited size of the hard disks of MacBook Air, the majority of owners will certainly want to reinstall its system, so that unused languages and printers drivers can be purged.
If you have bought the external DVD unit, it is very simple. Connect it and restart the machine holding the ALT key- and at this moment insert the DVD which will mount in some seconds. Attention: the DVD unit does not power up immediately. Avoid using force otherwise you risk causing damage. Also avoid moving the unit when it is in use and turning it around its cable - this causes the DVD to rub!
If you did not get the DVD unit, you will have to do the installation using CD/DVD sharing. While waiting for Mac OSX 10.5.2 (now available) the software could be found on the DVD installation disks of the MacBook Air. Install them and restart
You will have access to this option in the Sharing option of the system preference.
You will just need to start 'Remote Install MacOSX' found in the Utilities fold